Options listing and the volatility of the underlying asset: a study on the derivative market function

Detalhes bibliográficos
Autor(a) principal: Chesney, Marc
Data de Publicação: 1996
Outros Autores: Eid Júnior, William
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/15570
Resumo: There is a lot of misunderstanding about derivative markets. Many people believes that they are a kind of casinos and have no utility to the investors. This work looks on the effects of options introduction in the Brazilian market, seeking for another benefit for this introduction: changes in the stocks risk level due to this introduction. Our results are the same found in the US and other markets: the options introduction reduces the stocks volatility. We also found that there is a slight indication that the volatility became more stochastic with this introduction.
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spelling Chesney, MarcEid Júnior, WilliamEscolas::EAESP2016-02-25T15:13:37Z2016-02-25T15:13:37Z1996http://hdl.handle.net/10438/15570There is a lot of misunderstanding about derivative markets. Many people believes that they are a kind of casinos and have no utility to the investors. This work looks on the effects of options introduction in the Brazilian market, seeking for another benefit for this introduction: changes in the stocks risk level due to this introduction. Our results are the same found in the US and other markets: the options introduction reduces the stocks volatility. We also found that there is a slight indication that the volatility became more stochastic with this introduction.Os mercados de derivativos são vistos com muita desconfiança por inúmeras pessoas. O trabalho analisa o efeito da introdução de opções sobre ações no mercado brasileiro buscando identificar uma outra justificativa para a existência destes mercados: a alteração no nível de risco dos ativos objetos destas opções. A evidência empírica encontrada neste mercado está de acordo com os resultados obtidos em outros mercados - a introdução de opções é benéfica para o investidor posto que reduz a volatilidade do ativo objeto. Existe também uma tênue indicação de que a volatilidade se torna mais estocástica com a introdução das opções.engSSRNOption introductionVolatilityVolatility of volatilityGARCHFinançasDerivativos (Finanças)Options listing and the volatility of the underlying asset: a study on the derivative market functioninfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALOptions listing and the volatility of the underlyind asset a strudy on the derivative market function.pdfOptions listing and the volatility of the underlyind asset a strudy on the derivative market function.pdfPDFapplication/pdf64502https://repositorio.fgv.br/bitstreams/59fe1b09-ecab-42fc-bb57-5bae5b5fe187/download65874a1c34f617f83df4b7f83476a538MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv Options listing and the volatility of the underlying asset: a study on the derivative market function
title Options listing and the volatility of the underlying asset: a study on the derivative market function
spellingShingle Options listing and the volatility of the underlying asset: a study on the derivative market function
Chesney, Marc
Option introduction
Volatility
Volatility of volatility
GARCH
Finanças
Derivativos (Finanças)
title_short Options listing and the volatility of the underlying asset: a study on the derivative market function
title_full Options listing and the volatility of the underlying asset: a study on the derivative market function
title_fullStr Options listing and the volatility of the underlying asset: a study on the derivative market function
title_full_unstemmed Options listing and the volatility of the underlying asset: a study on the derivative market function
title_sort Options listing and the volatility of the underlying asset: a study on the derivative market function
author Chesney, Marc
author_facet Chesney, Marc
Eid Júnior, William
author_role author
author2 Eid Júnior, William
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EAESP
dc.contributor.author.fl_str_mv Chesney, Marc
Eid Júnior, William
dc.subject.eng.fl_str_mv Option introduction
Volatility
Volatility of volatility
GARCH
topic Option introduction
Volatility
Volatility of volatility
GARCH
Finanças
Derivativos (Finanças)
dc.subject.area.por.fl_str_mv Finanças
dc.subject.bibliodata.por.fl_str_mv Derivativos (Finanças)
description There is a lot of misunderstanding about derivative markets. Many people believes that they are a kind of casinos and have no utility to the investors. This work looks on the effects of options introduction in the Brazilian market, seeking for another benefit for this introduction: changes in the stocks risk level due to this introduction. Our results are the same found in the US and other markets: the options introduction reduces the stocks volatility. We also found that there is a slight indication that the volatility became more stochastic with this introduction.
publishDate 1996
dc.date.issued.fl_str_mv 1996
dc.date.accessioned.fl_str_mv 2016-02-25T15:13:37Z
dc.date.available.fl_str_mv 2016-02-25T15:13:37Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/15570
url http://hdl.handle.net/10438/15570
dc.language.iso.fl_str_mv eng
language eng
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